Measuring market risk with value at risk:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
2001
|
| Schriftenreihe: | Wiley series in financial engineering
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 302 S. graph. Darst. |
| ISBN: | 0471393134 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
CHAPTER 1: GLOBAL BANKING INDUSTRY 1
Defining a Bank 2
The Fall of Retail Banking 4
Private Banking 5
Global Investment Banking 6
Recent Trends in the Global Banking Industry • 7
Consolidation 8
Horizontal Consolidation 9
Contamination—The Rise of Global Players 11
Strategic Refocusing 12
Risk Management and Strategy 13
Notes 15
CHAPTER 2: RISK MANAGEMENT APPROACHES IN
BANKING ACTIVITY 19
Types of Risk in Banking Activity 20
The Risk Management Process 23
Financial Risk Management: Main Characteristics 25
The Traditional Approach to Managing Financial Risk:
Asset and Liability Management 26
From A LM to Value at Risk—Measuring Financial Risk in
an Integrated Framework 32
Notes 35
CHAPTER 3: FINANCIAL RISK MANAGEMENT
AND REGULATIONS 37
The Standardized Approach 38
The 1995 BIS Market Risk Proposal: The 1996 Amendment 43
Internal Models Approach: Generalities 44
ix
x CONTENTS
Internal Models: Qualitative Requirements 45
Internal Model: Quantitative and Modeling Requirements 46
New Capital Requirements: Combining Credit Risk and
Market Risk 48
Backtesting of Internal Models 49
Stress Testing of Internal Models 50
The Pros and Cons of the Standardized Approach and the
Internal Models 51
Appendix: Regulations and Credit Risk Management 52
Shortcomings of the Basle Approach 55
Recent Development of Regulatory Bodies on Credit Risk 57
Recent Development in Credit Risk Management:
Internal Credit Risk Models 58
Notes 60
CHAPTER 4: A SIMPLE INTRODUCTION TO
VALUE AT RISK 6l
What Is Value at Risk? 62
A Formal Definition of VaR 65
A Nonparametric Approach 65
A Parametric Approach 67
Marking to Market and VaR with Delta Factors 70
Marking to Market an IRS 72
From Single Asset Risk to Portfolio Risk 77
VaR in Practice: The Case of Chase Manhattan Bank 81
Conclusion 83
Appendix: Simulating a Stock Index Time Series 84
Notes 84
CHAPTER 5: MEASURING PRICES AND RETURNS 87
Performance Measurement 87
Single Period Returns 88
Multiperiodal Returns 90
Percentage Returns and Limited Liability 92
Properties of Log Returns 95
Measuring Returns for a Portfolio of Assets 102
CHAPTER 6: STATISTICS FOR PRICES AND RETURNS 105
Stochastic Processes and Return Modeling 105
Stationary Processes 107
Gaussian Processes 108
Discrete Stochastic Processes for Measuring Returns 110
The White Noise Process 112
CONTENTS xi
Autoregressive Processes 113
Moving Average Processes 114
General ARMA Processes 115
The Random Walk 116
Continuous Stochastic Processes 118
Appendix: Alternative Models for Stock Prices 123
Effects on VaR 126
Notes 127
CHAPTER 7: ESTIMATING AND
FORECASTING VOLATILITY 129
The Concept of Volatility and Correlation 129
Moving Average Methods for Estimating Volatility 131
Autoregressive Conditional Heteroskedasticity Models 135
Implied Volatility Models 140
Forecasting the Variance Covariance Matrix for VaR Calculations 146
Conditional Heteroskedasticity in Actual Time Series 148
Notes 149
CHAPTER 8: THE DISTRIBUTION OF RETURNS 151
Unconditional Distribution 151
Unconditional Normal Distribution 153
Leptokurtic Distribution and Returns 155
Mixed Distribution 156
Notes 157
CHAPTER 9: FRACTAL DISTRIBUTIONS AND
APPLICATIONS TO VaR 159
Stable Distributions and Their Properties 159
Formal Properties of Fractal Distributions 162
Effects on the Calculation of VaR 164
The Noah Effect 166
The Joseph Effect 168
Modern Portfolio Theory and Fractal Distributions 169
Conclusion 171
Appendix: Estimation and Forecasting When Returns Are
Not Normally Distributed 172
Notes 180
CHAPTER 10: FLXED INCOME MAPPING 181
Bond Pricing Using Yield to Maturity 181
The Yield Curve 185
The Duration Approach 188
xii CONTENTS
Convexity 192
The Cash Flow Approach 196
Estimating the Yield/Spot Rate Curve through
Econometric Techniques 200
Mapping of Cash Flows 201
Accounting for Pull to Par and Roll Down 204
Notes 206
CHAPTER 11: EQUITY PRICING 209
The Standard Approach to Equity Pricing: The Capital Asset
Pricing Model 209
Using the CAPM for VaR 210
Problems in Estimating the CAPM 211
An Alternative Approach: The Arbitrage Pricing Theory 214
Calculating VaR for CAPM and APT 215
Notes 217
CHAPTER 12: DERIVATIVE PRICING 219
Forwards 219
Risk of Forward Contracts 221
VaR for Forward Contracts 223
VaR for Swaps 224
Plain Vanilla Option Pricing 224
Decomposing an Option into Risk Factors 226
Using the Greeks: Delta 227
Using the Greeks: Gamma 231
Delta and Gamma in the Context of VaR 232
The Other Greeks: Lambda, Rho, and Theta 232
A Comprehensive Example 233
Alternative Option Pricing Formulas 235
Exotic Options 236
Correlation Options 241
Calculating VaR for Nonlinear Instruments:
A Simplified Approach 243
Notes 245
CHAPTER 13: CALCULATING VaR: AN OVERVIEW 247
Issues for Calculating Value at Risk 247
Portfolio Sensitivity Assumptions 248
Distributional Assumptions 251
Summary of Issues Regarding VaR Calculations 252
Notes 253
CONTENTS xiii
CHAPTER 14: PARAMETRIC NORMAL MODELS 255
Portfolio Normal Method 255
Asset Normal (RiskMetrics) Approach 257
The Delta Normal Method 258
Delta Gamma Methodology 261
Confidence Interval for Parametric VaR 265
Conclusion 266
Notes 266
CHAPTER 15: HISTORICAL SIMULATION MODELS 267
Simulation versus Parametric Approach: An Overview 267
Defining the Approach 269
Assumptions of Historical Simulation Models 269
Advantages and Disadvantages of Historical Simulation 270
CHAPTER 16: MONTE CARLO SIMULATION MODELS 273
Simulating a Single Price 274
Simulating Alternative Approaches 275
Creating a Random Series of Innovations 277
Simulation with Multiple Variables 278
The Use of Non Normal Distributions in Monte Carlo Simulations 280
Calculating VaR 281
Modeling the Term Structure of Interest Rates 282
Conclusion 284
Notes 284
CHAPTER 17: FINAL REMARKS: LIMITS OF VaR 285
Limits of VaR 285
Limits of VaR Methodologies 287
Note 292
INDEX 293
|
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV013934817 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:54:42Z |
| institution | BVB |
| isbn | 0471393134 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009536151 |
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| owner_facet | DE-739 |
| physical | XIII, 302 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley series in financial engineering |
| spelling | Penza, Pietro Verfasser aut Measuring market risk with value at risk Pietro Penza ; Vipul K. Bansal New York [u.a.] Wiley 2001 XIII, 302 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in financial engineering Risk management gtt Statistische modellen gtt Financial futures Risk management Bank (DE-588)4004436-1 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Value at Risk (DE-588)4519495-6 s Marktrisiko (DE-588)4506224-9 s Bank (DE-588)4004436-1 s DE-604 Bansal, Vipul K. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009536151&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Penza, Pietro Bansal, Vipul K. Measuring market risk with value at risk Risk management gtt Statistische modellen gtt Financial futures Risk management Bank (DE-588)4004436-1 gnd Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4519495-6 (DE-588)4506224-9 |
| title | Measuring market risk with value at risk |
| title_auth | Measuring market risk with value at risk |
| title_exact_search | Measuring market risk with value at risk |
| title_full | Measuring market risk with value at risk Pietro Penza ; Vipul K. Bansal |
| title_fullStr | Measuring market risk with value at risk Pietro Penza ; Vipul K. Bansal |
| title_full_unstemmed | Measuring market risk with value at risk Pietro Penza ; Vipul K. Bansal |
| title_short | Measuring market risk with value at risk |
| title_sort | measuring market risk with value at risk |
| topic | Risk management gtt Statistische modellen gtt Financial futures Risk management Bank (DE-588)4004436-1 gnd Value at Risk (DE-588)4519495-6 gnd Marktrisiko (DE-588)4506224-9 gnd |
| topic_facet | Risk management Statistische modellen Financial futures Bank Value at Risk Marktrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009536151&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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